Before starting, you'll need a new bulb, and may need a pair of pliers and a soft cloth. There's one bulb per 'pair' of controls (left side or right side). The bulb is 12 volt, 1.2 watt, wedge-ended. To make it easier when putting things back together, turn the control knobs all the way to the left /anticlockwise. (Hint: You can click the photos to see larger versions)
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To remove the panel, pull the smaller of the two knobs out from the dash. (Either the fan speed on the left side, or the 'recirculate' knob on the right). The fan knob can be hard to take out. If necessary, grip it with some pliers, protecting the plastic with a soft cloth.
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Note that the recirculation control comes away with an orange piece of plastic attached, but that the fan knob may leave this behind. If it does, it is best to remove the loose orange part from the fan control to avoid knocking it out by accident later...
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Next, pull hard on the larger knob (temperature or direction control). While pulling with one hand, prise the bezel away using the finger nails of the other hand. (Use both hands at the same time -- I needed one to press the camera button here). Remove the bezel completely.
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The bulb can now be seen, between the two controls. Very gently pull it straight out using fine nosed pliers - do not try to twist the bulb, its a straight push-fit. Again, a cloth may help here if the bulb is stuck.
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Carefully push the new bulb into the holder by hand. At this stage, its a good idea to turn the lights on to check it works (remember you'll need to turn the ignition on)

Now press the bezel back into place, making sure the controls are still set to the left. If you removed the orange part from the fan control, push it back now. (Photo repeated to show how it goes)
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Push the control knobs back until they click, and job's done!